Lecture
This lecture covers the Capital Asset Pricing Model (CAPM) assumptions, the market portfolio, equilibrium market clearing, the Capital Market Line, the Security Market Line, and the Security Characteristic Line. It also discusses estimating betas, the Vasicek shrinkage estimator, and the implications of short-sale constraints on the CAPM equilibrium. The lecture explores the Zero-Beta CAPM, leverage CAPM, liquidity CAPM, and the impact of exogenous transaction costs, private information, and liquidity risk on asset pricing.